Factor-Augmented Vector Autoregression
favar(data, priorObj, factordata, nreps, burnin, alpha, beta, tau2, c2, li_prvar, priorm, stabletest = TRUE, nthin = 1)
data | data that is not going to be reduced to factors |
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priorObj | An S3 object containing information about the prior. |
factordata | data that is going to be reduced to its factors |
nreps | total number of draws |
burnin | number of burn-in draws. |
alpha, beta | prior on the variance of the measurement equation |
tau2 | variance of the coefficients in the measurement equation (only used if priorm=2) |
c2 | factor for the variance of the coefficients (only used if priorm=2) |
li_prvar | prior on variance of coefficients (only used if priorm = 1) |
priorm | Selects the prior on the measurement equation, 1=Normal-Gamma Prior and 2=SSVS prior. |
stabletest | boolean, check if a draw is stationary or not |
nthin | thinning parameter |